Paris-Princeton lectures on mathematical finance 2004

René A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyên Pham, Erik Taflin (auth.)3540733264, 9783540733263, 9783540733270

The Paris-Princeton Lectures in Financial Mathematics, of which this is the third volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding – established or upcoming! – specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Hyuên Pham.

Table of contents :
Front Matter….Pages i-viii
HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets….Pages 1-50
Optimal Bond Portfolios….Pages 51-102
Models for Insider Trading with Finite Utility….Pages 103-171
Large Investor Trading Impacts on Volatility….Pages 173-190
Some Applications and Methods of Large Deviations in Finance and Insurance….Pages 191-244
Back Matter….Pages 245-249